There are lots of factors to consider.

Where do you travel? Is PHX your home base? Is that new, or has it been for a while? How long will you be there?

If you are going places served by CO and DL, maybe you want to continue accruing miles on NW? Would you prefer connecting in IAH, EWR, SLC, and ATL?

Obviously, HP -- soon to merge with US -- has a hub in PHX which might be convenient if "non-stop" (not "direct," which means single-stop with same flight number) fights are most important to you.

Then there are further issues, such as whether upgrades or free flights matter more to you, as each program is different. I'd take the time to read the FlyerTalk forums about HP (America West), CO (Continental), and DL (Delta).

There is no one right answer for everyone.

Welcome to FlyerTalk!